A study on information transfer of international crude oil futures price base on VAR-GARCH-BEKK model

Abstract

Crude oil future price plays an important role in the world oil price mechanism. The crude oil future price changes will transfer information to other oil market through Volatility Spillover Effects, so the crude oil future price has been the focus of attention. From the situation of recent years, the oil future market develops rapidly and future markets play a price in the discovery function in some way. The future price has become a benchmark in oil market. In order to further reveal the price formation mechanism, the transmission and market efficiency of the oil future markets, as well as the efficiency of information transfer between the future and spot market, this paper is based on the analysis of theories and methods. It selects the NYMEX WTI crude oil future prices and WTI crude oil spot price for representative to analyze the price volatility characteristics, basic statistical characteristics of earnings, and long-run equilibrium relationship between the two markets.